It doesn't really seem to have much effect on the ldap operations, but I
would like to know what the message is telling me. Mostly, I would like
to know where to look and how to decode such ldap messages (without
having to ask every time :).

There is no specific documentation for those messages; in any case, it
is simply indicating that a filter contained an attribute value
assertion that is non-indexed, and thus could not be exploited for
search candidate selection. It has null impact on functionality, it's
only there so that you can decide to indicize that attribute.

Actually,
slapd-bdb(5) reports that back-bdb/hdb **NEED** equality index on
objectClass to function properly, so that message is indeed very important.